Consolidated Returns as of 31 August 2024
Managing the US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio with a yearly rebalancing, you would have obtained a 9.42% compound annual return in the last 30 Years.
With a quarterly rebalancing, over the same period, the return would have been 8.06%.
How do returns and drawdowns change, implementing different rebalancing strategies?
Rebalancing Strategies
In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.
At fixed time intervals:
- Yearly: Jan 1st
- Half Yearly: Jan 1st, Jul 1st
- Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
Portfolio Returns as of Aug 31, 2024
Implementing different rebalancing strategies, the US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio guaranteed the following returns.
Portfolio returns are calculated in CAD, assuming:
- No fees or capital gain taxes
- the reinvestment of dividends, if existing
- the adjustment for actual currency exchange rates (simulation derived from original US returns)
- the currency hedging (simulation taking into account the interest rate differentials of the countries). It is also assumed that hedged instruments have an additional expense ratio of 0.25% (yearly), compared to the US original instrument.
| Return (%) and number of rebalances as of Aug 31, 2024 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Rebalancing Strategy | 1Y | 5Y | 10Y | 30Y |
MAX (~65Y) |
|||||
| No Rebalancing | 23.97 | (0) | 13.51 | (0) | 12.72 | (0) | 9.42 | (0) | 10.13 | (0) |
| Yearly Rebalancing | 17.68 | (1) | 8.67 | (5) | 8.98 | (10) | 8.15 | (30) | 9.62 | (65) |
| Half Yearly Rebalancing | 17.71 | (2) | 8.64 | (10) | 8.99 | (20) | 8.06 | (60) | 9.61 | (130) |
| Quarterly Rebalancing | 17.54 | (4) | 8.65 | (20) | 9.00 | (40) | 8.10 | (120) | 9.62 | (259) |
| 5% Tolerance per asset | 17.98 | (1) | 8.71 | (3) | 9.11 | (6) | 8.20 | (18) | 9.63 | (31) |
| 10% Tolerance per asset | 18.82 | (1) | 9.28 | (2) | 9.48 | (3) | 8.45 | (8) | 9.73 | (11) |
In order to have complete information about the portfolio, please refer to the US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio: ETF allocation and returns page.
Performances as of Aug 31, 2024
Historical returns and stats of US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Standard Deviation
|
Max Drawdown (%)
|
|||||
|---|---|---|---|---|---|---|
| Rebalancing Strategy | Return % | Std Dev(%) | Ret. / Std Dev | MaxDD(%) | Ret. / MaxDD | |
| No Rebalancing | 10.13 | (0) | 10.77 | 0.94 | -34.38 | 0.29 |
| Yearly Rebalancing | 9.62 | (65) | 9.09 | 1.06 | -28.19 | 0.34 |
| Half Yearly Rebalancing | 9.61 | (130) | 9.08 | 1.06 | -29.09 | 0.33 |
| Quarterly Rebalancing | 9.62 | (259) | 9.09 | 1.06 | -29.10 | 0.33 |
| 5% Tolerance per asset | 9.63 | (31) | 9.12 | 1.06 | -29.01 | 0.33 |
| 10% Tolerance per asset | 9.73 | (11) | 9.27 | 1.05 | -28.08 | 0.35 |
Drawdowns as of Aug 31, 2024
Historical Drawdowns of US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio, after implementing different rebalancing strategies.
|
Rebalancing
|
Tolerance per asset
|
||||
|---|---|---|---|---|---|
| No Rebalancing | Yearly | Half Yearly | Quarterly | 5% | 10% |
|
-34.38
Sep 2000 - Sep 2012
|
-28.19
Jan 1973 - Jun 1975
|
-29.09
Jan 1973 - Jun 1975
|
-29.10
Jan 1973 - Jan 1976
|
-29.01
Jan 1973 - Jan 1976
|
-28.08
Jan 1973 - Jun 1975
|
|
-31.33
Jan 1973 - Jan 1976
|
-23.20
Feb 2007 - Dec 2010
|
-23.69
Feb 2007 - Jan 2011
|
-23.98
Feb 2007 - Jan 2011
|
-23.60
Feb 2007 - Jan 2011
|
-22.86
Feb 2007 - Dec 2010
|
|
-22.56
Sep 1987 - May 1989
|
-19.15
Sep 2000 - Mar 2006
|
-19.80
Sep 2000 - Mar 2006
|
-19.34
Dec 1968 - Feb 1971
|
-19.13
Dec 1968 - Feb 1971
|
-19.50
Sep 1987 - May 1989
|
|
-22.02
Dec 1968 - Mar 1971
|
-19.00
Dec 1968 - Feb 1971
|
-19.03
Dec 1968 - Jan 1971
|
-19.12
Sep 2000 - Jul 2005
|
-18.94
Sep 2000 - Jul 2005
|
-19.13
Dec 1968 - Feb 1971
|
|
-19.55
Jan 2022 - Aug 2023
|
-18.90
Sep 1987 - May 1989
|
-17.53
Sep 1987 - Apr 1989
|
-17.00
Sep 1987 - Apr 1989
|
-18.43
Sep 1987 - May 1989
|
-18.86
Sep 2000 - Mar 2006
|
| 5 Worst Drawdowns - Average | |||||
| -25.97 | -21.69 | -21.83 | -21.71 | -21.82 | -21.69 |
| 10 Worst Drawdowns - Average | |||||
| -18.68 | -16.39 | -16.46 | -16.42 | -16.58 | -16.67 |
For a deeper insight, please refer to the US Stocks/Bonds 60/40 To CAD Bond Hedged Portfolio: ETF allocation and returns page.
